COCO BONDS PRICING WITH CREDIT AND EQUITY CALIBRATED FIRST-PASSAGE FIRM VALUE MODELS (Q5256831)
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scientific article; zbMATH DE number 6452366
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | COCO BONDS PRICING WITH CREDIT AND EQUITY CALIBRATED FIRST-PASSAGE FIRM VALUE MODELS |
scientific article; zbMATH DE number 6452366 |
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COCO BONDS PRICING WITH CREDIT AND EQUITY CALIBRATED FIRST-PASSAGE FIRM VALUE MODELS (English)
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29 June 2015
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contingent capital
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CoCo bonds
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AT1P model
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firm value models
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credit default swap calibration
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conversion time
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default time
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hybrid credit-equity products
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Basel III
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systemic risk
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